Yi Jiang

Refereed Publications by Finance Faculty

2014

Chang, Carolyn W., "A Market-Based Martingale Valuation Approach to Optimum Inventory Control in a Doubly-Stochastic Jump-Diffusion Economy" (with S.K. Chang and M. Shi), Journal of Operational Research Society, forthcoming, 2014.

2013

Akbulut, Mehmet, “Do Overvaluation driven Stock Acquisitions Really Benefit Acquirer Shareholders?” Journal of Financial and Quantitative Analysis, forthcoming, 2013.

Bhootra, Ajay, “The Timing of 52-Week High Price and Momentum,” (with Jungshik Hur), Journal of Banking and Finance, 37: 3773-3782, 2013.

Bhootra, Ajay, “On the Role of Intangible Information and Capital Gains Taxes in Long-Term Return Reversals,” Financial Management, 42: 537-573, 2013.

Chang, Carolyn W., “Optimum Hurricane Futures Hedge in a Warming Environment: A Risk-Return Jump-Diffusion Approach,” (with S.K. Chang and M.M. Wen), Journal of Risk and Insurance, forthcoming, December 2013.

LaCour-Little, Michael, “The Role of Home Equity Lending in the Recent Mortgage Crisis” (with Wei Yu, and Libo Sun), Real Estate Economics 41(4), forthcoming, 2013.

Lin, Zhenguo, “Is There a Real Estate Allocation Puzzle?” (with P. Cheng and Y. Liu), Journal of Portfolio Management, 2013.

Lin, Zhenguo, “Liquidity Risk of Private Assets: the Other Side of the Market,” (with P. Cheng and Y. Liu), The Financial Review, 48: 671-696, 2013.

Lin, Zhenguo, “Pet Policy and Housing Prices: Evidence from the Condominium Market,” (with M. Allen and C. Carter), Journal of Real Estate Finance and Economics, 47 (1): 109-122, 2013.

Lin, Zhenguo, “How do Market Conditions Impact Price-TOM Relationship? Evidence from Real Estate Owned (REO) Sales,” (with Z. An, P. Cheng, and Y. Liu), Journal of Housing, 22: 250-263, 2013.

Lin, Zhenguo, “Performance of Thinly-traded Assets: a Case in Real Estate,” (with P. Cheng and Y. Liu -2013), The Financial Review, 48(3):511-536, 2013.

Lin, Zhenguo, “Another Look at Effects of ‘Adults-Only’ Age Restrictions on Housing Prices,” (with C. Carter, M. Allen and W. Haloupek), Journal of Real Estate Finance and Economics, 46: 115-130, 2013.

Liu, Laura, “Wealth, Labor Income and House Prices,” (with Yuming Li), International Real Estate Review, forthcoming, 2013.

Liu, Laura, “Financial Analysis of Well-known Disasters Using Utility and Reliability Values,” (with Chandrasekhar Putcha), International Journal of Economics and Management Engineering, 2013.

Liu, Laura, “Application of Principles of Reliability Analysis to Optimization Problem in Transpiration Industry,” (with Viswanath Putcha and Chandrasekhar Putcha), European Scientific Journal, 2013..

Wang, Yingdi, “Limited Partner Performance and the Maturing of the Private Equity Industry” (with Berk A. Sensoy and Michael S. Weisbach), Journal of Financial Economics, forthcoming.

Xie, Xiaoying, “Insurer Performance and Intermediary Remuneration: The Impact of Abandonment of Contingent Commissions,” (with Yu-Luen Ma and Nat Pope), The Geneva Papers on Risk and Insurance - Issues and Practice, forthcoming, 2013.

Xie, Xiaoying, “Contingent Commissions, Insurance Intermediaries and Insurer Performance,” (with Yu-Luen Ma and Nat Pope), Risk Management & Insurance Review, forthcoming 2013.

Xie, Xiaoying, “Efficiency, Productivity, and Scale Economies in the U.S. Property-Liability Insurance Industry,” (with J. David Cummins, Temple University), Journal of Productivity Analysis, 39:141-164, 2013.

Yang, Jing, “On the Strategic Use of Debt and Capacity in Rapidly Expanding Markets,” (with Leach, C. and Moyen, N.), Journal of Corporate Finance, forthcoming, 2013.

Yang, Jing, “Take the lie out of liar loans: the effect of reduced documentation on the performance and pricing of Alt-A and subprime mortgages,” (with LaCour-Little, M.), Journal of Real Estate Research, forthcoming, 2013.

Yang, Jing, “Debt and capacity commitments,” (with Leach, C. and Moyen, N.), Review of Finance, 17(4): 1365-1399, 2013.

2012

Akbulut, Mehmet, “Calendar Anomalies: Do REITs behave like Stocks?” (with Su Han Chan and Maria Letdin), International Real Estate Review, forthcoming, 2012.

Chang, Carolyn W., “Global Warming, Extreme Weather Events, and Forecasting Tropical Cyclones: A Market-Based Forward-Looking Approach,” (with S.K. Chang, K.G. Lim), ASTIN Bulletin, 42(1): 77-101, May 2012.

Chang, Carolyn W., “Hurricane Derivatives: Valuation in a Warming Environment,” (with S.K. Chang -2012), Journal of Financial Studies, 20(2): 1-1, June 2012.

Bhootra, Ajay, “On the Relationship between Concentration of Prospect Theory/Mental Accounting Investors, Cointegration, and Momentum,” (with Jungshik Hur), Journal of Banking and Finance, 36: 1266-1275, 2012.

Ghosh, Dispasri, “Classroom Contents and Pedagogy: Time Value of Money in One Lesson,” The International Journal of Finance, 24(2):7127-7170, 2012.

Ghosh, Dispasri, “Small Firm Business in Cross Border Trade and Investment: Risk-Immunized and Risk-Assumed Returns,” NMIMS Management Review, 22: 82-93, 2012.

LaCour-Little, Michael, "Taking the Lie Out of Liar Loans: The Effect of Reduced Documentation on the Pricing and Performance of Alt-A and Subprime Mortgages,” (with Jing Yang), Journal of Real Estate Research, 2012.

LaCour-Little, Michael, “The Role of Home Equity Lending in the Recent Mortgage Crisis,” (with Libo Sun, and Wei Yu), Real Estate Economics, 41(3), forthcoming, 2012.

LaCour-Little, Michael,“Parameter Stability and the Valuation of Mortgages and Mortgage-backed Securities,” (with Richard K. Green and Yun Park), Real Estate Economics, 40(1), 2012.

Wang, Yingdi, “Secondary Buyouts: Why Buy and at What Price?”, Journal of Corporate Finance,” 18: 1306-1325, December 2012.

Yang, Jing, “Presale contract and its embedded default and abandonment options,” (with Chan, S. H. and Wang, K), Journal of Real Estate Finance and Economics,” 44: 116-152, 2012.

2011

Bhootra, Ajay, “Are Momentum Profits Driven by the Cross-Sectional Dispersion in Expected Stock Returns?” Journal of Financial Markets, 14: 494-513, 2011.

DaSilva, Amadeu, “Habit Formation in an Overlapping Generations Model with Borrowing Constraints,” (with Christos Giannikos and Mira Farka), European Financial Management, 17(4):705-725, 2011.

DaSilva, Amadeu, “The Fed and the Term Structure: Addressing Simultaneity within a Structural VAR Model,” (with Mira Farka), Journal of Empirical Finance, 18 (5): 935-952, 2011.

Ghosh, Dispasri, “Business, Ethics, and Profit: Are they Compatible under Corporate Governance in our Global Economy?” Global Finance Journal, 22(1):72-79, 2011.

Ghosh, Dispasri, “A Note on a Possible Solution for the Foreclosure Crisis: 40-Year GPM,” International Journal of Business, 16 (1): 103-110, 2011.

Jiang, Yi, “The Influence of Governance on Investment: Evidence From a Hazard Model,” (with Matthew T. Billett and Jon A. Garfinkel), Journal of Financial Economics, 102(3): 643-670, 2011.

LaCour-Little, Michael, "What Role Did Piggyback Lending Play in the Housing Bubble and Mortgage Collapse?” (with Charles Calhoun and Wei Yu -2011), Journal of Housing Economics, 20: 81-100, 2011.

LaCour-Little, Michael, “Housing Tenure and Mortgage Choice,” (with Fortowsky, Elaine, Eric Rosenblatt, and Vincent Yao), The Journal of Real Estate Finance and Economics, 42(2): 162-180, 2011.

Lin, Zhenguo, “Heterogeneous Information and Appraisal Smoothing,” (with P. Cheng and Y. Liu), Journal of Real Estate Research, 33: 443-469, 2011.

Lin, Zhenguo, “Do Women Pay More for Mortgages?” (with P. Cheng and Y. Liu), Journal of Real Estate Finance and Economics, 43: 423-440, 2011.

Lin, Zhenguo, “Property Delisting, Housing Cycle and Pricing Bias,” (with P. Cheng and Y. Liu), Journal of Housing Economics, 20: 152-157, 2011.

Lin, Zhenguo, “Has Real Estate Come of Age,” (with P. Cheng, Y. Liu and Y. Zhang), Journal of Real Estate Portfolio Management, 17: 243-254, 2011.

Nguyen, Thanh, “Are All CEOs Above Average? An Empirical Analysis of Compensation Peer Groups and Pay Design,” (with John Bizjak and Mike Lemmon), Journal of Financial Economics, 100: 538-555, 2011.

Xie, Xiaoying, “The Impact of CEO Turnover on Property-Liability Insurer Performance,” (with Enya He, and David W.), Journal of Risk and Insurance, 78(3): 583-608, 2011.

Xie, Xiaoying, “Demutualization, Control, and Efficiency in the U.S. Life Insurance Industry,” (with Weili Lu, Mark Stohs, and Joseph Reising), The Geneva Papers on Risk and Insurance- Issues and Practice, 36: 197-225, 2011.

Yang, Jing, “A rational explanation for boom-and-bust price patterns in real estate markets,” (Chan, S. H. and Wang, K), International Real Estate Review, 14(3): 257-282, 2011.

2010

Akbulut, Mehmet, “50+ Years of Diversification Announcements,” (with John G. Matsusaka), The Financial Review, 45: 231-262, 2010.

Chang, Carolyn W., “Pricing Catastrophe Options with Stochastic Claim Arrival Intensity in Claim Time,” (with S.K. Chang, and W. Lu), Journal of Banking and Finance, 34(1): 24-32, January 2010.

Ghosh, Dispasri,"Leverage and Asset Allocation under Capital Market Distortion," International Journal of Business, 15(4):459-471, 2010.

Ghosh, Dispasri, “Cross-Listed Cross-Currency Assets and Arbitrage with Forwards & Options,” Global Finance Journal, 21(1): 98-110, 2010.

Ghosh, Dispasri,"Constancy and Perpetuity: Simplifying or Camouflaging?" The Quarterly Journal of Finance and Accounting, 49(3/4), 2010.

Ghosh, Dispasri, “Market Meltdown and the Propagation Mechanism of Contagion,” The International Journal of Banking and Finance, 7(2): 19-35, 2010.

Ghosh, Dispasri, “Asset Acquisition, Diversification, and Revision-Theoretic Exercises in Portfolio Theory,” The Quarterly Journal of Finance and Accounting, 49(1): 19-38, 2010.

LaCour-Little, Michael, “Pay Me Now or Pay Me Later: Alternative Mortgage Products and the Mortgage Crisis,” (with Jing Yang), Real Estate Economics, 38 (4): 687–732, 2010.

LaCour-Little, Michael, “Home Equity Extraction by Homeowners: 2000-2006,” (with Eric Rosenblatt, and Vincent Yao), Journal of Real Estate Research, 32(1): 23-46, 2010.

Lin, Zhenguo, “Ownership Restriction and Housing Value: Evidence from American Housing Survey,” (with Y. Liu and V. Yao), Journal of Real Estate Research, 32: 201-220, 2010.

Lin, Zhenguo, “Illiquidity and Portfolio Risk of Thinly-traded Asset,” (with P. Cheng and Y. Liu), Journal of Portfolio Management,36: 126-138, 2010.

Lin, Zhenguo, “Home Price, Time-on-market, and Seller Heterogeneity under Changing Market Conditions,” (with P. Cheng and Y. Liu), Journal of Real Estate Finance and Economics, 41: 272-293, 2010.

Lin, Zhenguo, “Illiquidity, Transaction Cost, and Optimal Holding Period for Real Estate: Theory and Application,” (with P. Cheng and Y. Liu), Journal of Housing Economics, 19: 109-118, 2010.

Xie, Xiaoying, “Are Publicly Held Firms Less Efficient? Evidence from the US Property-Liability Insurance Industry,” Journal of Banking & Finance, 34:1549-1563, 2010.

Xie, Xiaoying, “Economies of Scope in Financial Services: A DEA Efficiency Analysis of the US Insurance Industry,” (with J. David Cummins, Mary A. Weiss, Hongmin Zi, and Ewha Womans), Journal of Banking & Finance 34: 1525-1539, 2010.

Yang, Jing, “Pay me now or pay me later: alternative mortgage products and the mortgage crisis,” (with LaCour-Little, M.), Real Estate Economics, 38(4): 687-732, 2010.

2009

LaCour-Little, Michael, “Gated Streets and House Prices,” (with Steven Malpezzi), Journal of Housing Research, 18(1):19-44, 2009.

LaCour-Little, Michael, “The Pricing of Mortgages by Brokers: An Agency Problem?” Journal of Real Estate Research, 31(2): 235-264, 2009.

Lin, Zhenguo, “Spillover Effects of Foreclosures on Neighborhood Property Values,” (with E. Rosenblatt and V. Yao), Journal of Real Estate Finance and Economics, 38: 387-407, 2009.

Lin, Zhenguo, “Marketing Period Risk in a Portfolio Context: Comment and Extension,” (with Y. Liu and K. Vandell), Journal of Real Estate Finance and Economics, 38: 183-191, 2009.

Lin, Zhenguo, “Housing Market Dynamics: Evidence of Mean Reversion and Downward Rigidity,” (with A. Gao and C. Na), Journal of Housing Economics, 18: 256-266, 2009.

Lin, Zhenguo, “A Model of Time-on-Market and Real Estate Price under Sequential Search with Recall,” (with P. Cheng and Y. Liu), Real Estate Economics, 36: 813-843, 2008.

Lin, Zhenguo, “Real Estate Return and Risk with Heterogeneous Investors,” (with Y. Liu), Real Estate Economics, 36: 753-776, 2008. 

Xie, Xiaoying, “Market Values and Efficiency in US Insurer Acquisitions and Divestitures,” (with J. David Cummins), Managerial Finance, 35(2): 128-155, 2009.

Xie, Xiaoying, “Insurer Performance and Contingent Commissions: What's the Relationship?” (with Yu-Luen Ma and Nat Pope), Journal of Financial and Economic Practice, 9(2): 45-57, 2009.

Yang, Jing, “IPO Pricing Strategies with Deadweight and Search Costs,” (with Chan, S. H., Wang, K.), Journal of Real Estate Research, 31(4): 481-542, 2009.

2008

Chang, Carolyn W., “Pricing Catastrophe Options in Discrete Operational Time” (with S.K. Chang and W. Lu), Insurance: Mathematics and Economics, 43(3): 422- 430, December 2008.

LaCour-Little, Michael, “Subprime Lending and the Housing Bubble: Tail Wags Dog?” (with Coleman, Major, and Kerry Vandell), Journal of Housing Economics, 17(4): 272-290, 2008.

LaCour-Little, Michael, “Prepayment Penalties in Residential Mortgage Contracts: A Cost-Benefit Analysis,” (with Cynthia Holmes), Housing Policy Debate, 19(4): 631-673, 2008.

LaCour-Little, Michael, “Mortgage Termination Risk: A Review of the Recent Literature,” Journal of Real Estate Literature, 16(3): 297-326, 2008.

Xie, Xiaoying, “Mergers and Acquisitions in the US Property-Liability Insurance Industry: Productivity and Efficiency Effects,” (with J. David Cummins), Journal of Banking & Finance, 32: 30-55, 2008.

Yang, Jing, “Presales, financing constraints, and developers’ production decisions,” (with Chan, S. H., and Fang, F.), Journal of Real Estate Research, 30(3):345-375, 2008.

2007

Ghosh, Dispasri, “Efficiency of the Federal Reserve Under Globalization and Presence of Electronic Transactions,” International Journal of Business, 12(4): 493-502, 2007.

LaCour-Little, Michael, “Economic Factors Affecting Home Mortgage Disclosure Act Reporting,” Journal of Real Estate Research, 29(4): 479-510, 2007.

LaCour-Little, Michael, “The Home Purchase Mortgage Preferences of Low-and-Moderate Income Households,” Real Estate Economics, 35(4):265-290, 2007.

LaCour-Little, Michael, “A Comparison of Commercial Mortgage Markets in the U.S. and Canada,” (with Cynthia Holmes), International Real Estate Review, 10(1): 151 – 170, 2007.

Lin, Zhenguo, “Marketing Period Risk in a Portfolio Context: Theory and Empirical Estimates from the UK Commercial Real Estate Market,” (with S. Bond, S. Hwang, and K. Vandell), Journal of Real Estate Finance and Economics, 34: 447-461, 2007.

Lin, Zhenguo, “Illiquidity and Pricing Biases in the Real Estate Market,” (with K. Vandell), Real Estate Economics, 35: 291-330, 2007.

Yang, Jing, “Are there bubble potentials in the U.S. retail property market?” (with Wang, K), Journal of Shopping Center Research, 13(2): 59-107, 2007.

Yang, Jing, “Stickiness of rental rates and developers’ option exercise strategies,” (with Lai, R. N. and Wang, K..), Journal of Real Estate Finance and Economics, 34(1):159-188, 2007.

2006

Bhootra, Ajay, “A Precedence-Constrained Asymmetric Traveling Salesman Model for Disassembly Optimization,” (with Sarin, Subhash and Hanif Sherali), Institute of Industrial Engineers (IIE) Transactions, 38: 223-237, 2006.

Chang, Carolyn W., “Subordinated Binomial Option Pricing,” (with S.K. Chang and Y. Tian), Journal of Financial Research, 29(4): 559-573, Winter 2006.

Ghosh, Dispasri, “Portfolio Theory and Portfolio Management: A Synthetic View,” Frontiers in Finance and Economics, 3(2): 95-111, 2006.

Lin, Zhenguo, “How Tax Credits Have Affected the Rehabilitation of the Boston Office Market,” (with J. Shilling, K. Vandell and R. Koesman), Journal of Real Estate Research, 28: 321-348, 2006.

2005

Bhootra, Ajay, “New Tighter Polynomial Length Formulations for the Asymmetric Traveling Salesman Problem with and without Precedence Constraints,” (with Sarin, Subhash and Hanif Sherali), Operations Research Letters, 33: 62-70, 2005.

Chang, Carolyn W., “Doubly-Binomial Option Pricing with Application to Insurance Derivatives”, (with S.K. Chang), Review of Pacific Basin Financial Markets and Policies, 8(3): 501-523, September 2005.

Ghosh, Dispasri, “Global Diversification: Developed and Emerging Economies,” International Journal of Business, 10(1): 79-102, 2005.           

Ghosh, Dispasri, “Covered Arbitrage with Currency Options: A Theoretical Analysis,” Global Finance Journal, 16:86-98, 2005.          

Ghosh, Dispasri, “Does the U.S. Market Overreact to Non-U.S. GAAP Disclosure? A Closer Examination,” The International Journal of Finance, 17(2), 2005.

Ghosh, Dispasri, “The Kraus and Litzenberger Quadratic Characteristic Line and Event Studies,” Frontiers in Finance and Economics, 2(2): 67-78, 2005.

LaCour-Little, Michael, “A Note on Hybrid Mortgages,” (with Ambrose, Brent), Real Estate Economics, 33(4): 765-782, 2005.

LaCour-Little, Michael, “Does Regulatory Capital Arbitrage, Reputation, or Asymmetric Information Drive Securitization,” (with Ambrose, Brent and Anthony Sanders), Journal of Financial Services Research, 28(1/2/3): 113-133, 2005.

2004

LaCour-Little, Michael, “The Effect of Conforming Loan Status on Mortgage Yield Spreads: A Loan Level Analysis” (with Ambrose, Brent and Anthony Sanders), Real Estate Economics, 32(4): 541-570, 2004.

LaCour-Little, Michael, “Equity Dilution: An Alternative Perspective on Mortgage Default,” Real Estate Economics, 32(3): 359-384, 2004.

LaCour-Little, Michael, “Risk-based Capital Requirements for Mortgage Loans” (with Calem, Paul), Journal of Banking and Finance, 28: 647-672, 2004. 

2003

Chang, Carolyn W., “Optimum Futures Hedge in the Presence of Clustered Supply and Demand Shocks, Stochastic Basis, and Firm’s costs of Hedging,” (with S.K. Chang), Journal of Futures Markets, 23(12): 1209-1237, December 2003.

LaCour-Little, Michael, “Appraisal Quality and Residential Mortgage Default: Evidence from Alaska,” (with Stephen Malpezzi), Journal of Real Estate Finance and Economics, 27(2): 211-233, 2003.

LaCour-Little, Michael, “Commercial Mortgage Prepayments under Heterogeneous Prepayment Penalty Structures,” (with Fu, Qiangand Kerry Vandell), Journal of Real Estate Research, 25(3): 239-275, 2003.

Yang, Jing, “Pricing factors in real estate markets: A simple preference based approach,” (with Chan, S. H. and Wang, K.), International Real Estate Review, 6(1): 102-120, 2003.

2002

Chang, Carolyn W., “Dynamic Hedge of Oil Futures”, (with S.K. Chang and H. Fang), International Journal of Management and Theory and Practice, 3(1), August 2002.

LaCour-Little, Michael, “Improving Parametric Mortgage Prepayment Models Using Non-parametric Kernel Regression” (with Maxam, Clark and Michael Marschoun), Journal of Real Estate Research, 24(3): 299-327, 2002.

LaCour-Little, Michael, “Loan Versus Pool Level Prepayment Models,” (with Elmer, Peter J. and Kevin D. Sheehan), Professional Perspectives on Fixed Income Portfolio Management, 3, 2002.

2001

LaCour-Little, Michael, “Applied Non-Parametric Regression Techniques: Estimating Prepayments on Fixed Rate Mortgage-Backed Securities,” (with Maxam, Clark), Journal of Real Estate Finance and Economics, 23(2): 139-160, 2001.

LaCour-Little, Michael, “Movers and Shuckers: Interdependent Mortgage Prepayment Decisions,” (with Clapp, John, Gerson Goldberg, and John Harding), Real Estate Economics, 29(3): 411-450, 2001.

LaCour-Little, Michael, “A Note on Identification of Discrimination in Mortgage Lending,” Real Estate Economics, 29(2): 329-335, 2001.

LaCour-Little, Michael, “Prepayment Performance of Adjustable Rate Mortgages Subject to Initial Year Discounts: Some New Evidence,” (with Ambrose, Brent, and Zsuzsa Huszar), Real Estate Economics, 29(2): 305-328, 2001.

2000

Chang, Carolyn W., “Pricing and Hedging Emerging Market Derivatives: The Case of Hong Kong Derivative Warrants,” (with S.K. Chang and K.G. Lim), Asia Pacific Journal of Finance, 3(1): 1-21, 2000. 

1999

Chang, Carolyn W., “A New Methodology for Studying Intraday Dynamics of Nikkei Index Futures using Markov Chains,” (with S.Y. Wang and K.G. Lim), Journal of International Financial Markets, Institutions and Money, 9(3): 247-265, 1999.

LaCour-Little, Michael, “Some Truths About Ostriches: Who Never Refinances Their Mortgage and Why They Don’t,” (with Green, Richard K.), Journal of Housing Economics, 8: 233-248, 1999.

LaCour-Little, Michael, “Another Look at the Role of Borrower Characteristics in Predicting Mortgage Prepayments,” Journal of Housing Research, 10 (1): 45-61, 1999.

LaCour-Little, Michael, “Third Party Originators and Mortgage Prepayment Risk: An Agency Problem?” (with Chun, Gregory), Journal of Real Estate Research, 17 (1/2): 55-71, 1999.

LaCour-Little, Michael, “Discrimination in Mortgage Lending: A Critical Review of the Literature,” Journal of Real Estate Literature, 7(1): 15-52. 1999.

1998

Chang, Carolyn W., "Information-Time Option Pricing: Theory and Empirical Evidence,” (with S.K. Chang, and K.G. Lim), Journal of Financial Economics, 48(2): 211-242, May 1998.

LaCour-Little, Michael, “Are Minorities or Minority Neighborhoods More Likely to Get Low Appraisals?” (with Green, Richard K.), Journal of Real Estate Finance and Economics, 16 (3): 301-315, 1998.

1996

Chang, Carolyn W., "Pricing Catastrophe Insurance Futures Call Spreads: A Randomized Operational Time Approach," (with S.K. Chang and M.T. Yu), Journal of Risk and Insurance, 63(4): 599-617, December 1996.

Chang, Carolyn W., "Optimum Futures Hedge With Marking-to-Market and Stochastic Interest Rates,” (with S.K. Chang and H. Fang), Journal of Financial Research, 19(3): 309-326, Fall 1996.

Chang, Carolyn W., "Option Pricing with Stochastic Volatility: Information-Time vs. Calendar-Time," (with K. Chang), Management Science, 42(7): 974-991, July 1996.

Chang, Carolyn W., "Optimum Futures Hedge with Jump Risk and Stochastic Basis," (with S.K. Chang and H. Fang), Journal of Futures Markets, 16(4): 441-458, June 1996.

LaCour-Little, Michael, "Application of Reverse Regression to Boston Federal Reserve Data Refutes Claims of Discrimination," Journal of Real Estate Research, 11 (1): 1-12, 1996.

1995

Chang, Carolyn W., "A No-Arbitrage Martingale Analysis to Jump-Diffusion Valuation", Journal of Financial Research, 18 (3): 351-381, Fall 1995.

Chang, Carolyn W., "A Discrete-Time Martingale Approach to Binomial Pricing with Stochastic Interest Rates," (with S.K. Chang), International Journal of Finance, 7 (3): 1240-1252, 1995.

1994

Chang, Carolyn W., "Futures-Forward Price Differential in the T-Bill Markets: An Application of the Arbitrage Pricing Theory," (with S.K. Chang and J. Loo), Global Finance Journal, 5 (1): 55-63, Summer 1994.

1993

Chang, Carolyn W., "An Implicit Measure of the Effective Bid-Ask Spread: A Note,” (with S.K. Chang), Journal of Financial Research, 16(1): 71- 75, Spring 1993.

1991

Chang, Carolyn W., "Marking-to-Market and Futures-Forward Differentials: Further Evidence From the Foreign Exchange Markets," (with S.K. Chang, J. Loo, and Hsing Fang), Pacific-Basin Capital Market Research, 2, 1991.

1990

Chang, Carolyn W., "The Pricing of Futures Contracts and the Arbitrage Pricing Theory," (with S.K. Chang and C.H. Loo), Journal of Financial Research, 13(4): 297-307, Winter 1990.

Chang, Carolyn W., "Forward and Futures Prices: Evidence from the Foreign Exchange Markets," (with S.K. Chang), Journal of Finance, 45(4), September 1990.

1988

Chang, Carolyn W., "Stock Indexes, Stock Index Futures and Stock Index Futures Options - A Causality Analysis," (with S.K. Chang and C.W.K. Keng), The Belgium Journal of Operations Research, Statistics and Computer Science, 28(4), 1988.

 


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